STATIONARITY OF GARCH PROCESSES AND OF SOME NONNEGATIVE TIME-SERIES

被引：326

作者：

BOUGEROL, P

PICARD, N

机构：

[1] Université de Nancy I

来源：

JOURNAL OF ECONOMETRICS | 1992年 / 52卷 / 1-2期

关键词：

D O I：

10.1016/0304-4076(92)90067-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Two time series models are considered: GARCH processes and generalized multivariate autoregressive equations, X(n+1) = A(n+1)X(n) + B(n+1), with nonnegative i.i.d. coefficients. In each case, a necessary and sufficient condition ensuring the existence of a strictly stationary solution is given.

引用

收藏

页码：115 / 127

页数：13

相关论文

共 14 条

[1] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J].

BOLLERSLEV, T .

JOURNAL OF ECONOMETRICS, 1986, 31 (03) :307-327

[2] A CONDITIONALLY HETEROSKEDASTIC TIME-SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN [J].

BOLLERSLEV, T .

REVIEW OF ECONOMICS AND STATISTICS, 1987, 69 (03) :542-547

[3] TIGHTNESS OF PRODUCTS OF RANDOM MATRICES AND STABILITY OF LINEAR STOCHASTIC-SYSTEMS [J].

BOUGEROL, P .

ANNALS OF PROBABILITY, 1987, 15 (01) :40-74

[4]

BOUGEROL P, 1990, IN PRESS ANN PROBABI

[5] THE STOCHASTIC EQUATION YN+1=ANYN+BN WITH STATIONARY COEFFICIENTS [J].

BRANDT, A .

ADVANCES IN APPLIED PROBABILITY, 1986, 18 (01) :211-220

[6]

COHEN JE, 1986, CONT MATH, V50, P987

[7]

Engle R.F., 1986, ECONOMET REV, V5, P1, DOI [10.1080/07474938608800095, DOI 10.1080/07474938608800095]

[8] 1ST-ORDER AUTOREGRESSIVE GAMMA-SEQUENCES AND POINT-PROCESSES [J].

GAVER, DP ;

LEWIS, PAW .

ADVANCES IN APPLIED PROBABILITY, 1980, 12 (03) :727-745

[9] NONNEGATIVE TIME-SERIES MODELS FOR DRY RIVER FLOW [J].

HUTTON, JL .

JOURNAL OF APPLIED PROBABILITY, 1990, 27 (01) :171-182

[10] CONVERGENCE IN DISTRIBUTION OF PRODUCTS OF RANDOM MATRICES [J].

KESTEN, H ;

SPITZER, F .

ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1984, 67 (04) :363-386